Description

This function identifies the MA part of a vector ARMA(n,p) process.

Example

//Generate the processt1=0:0.1:100;y1=sin(2*%pi*t1)+sin(2*%pi*2*t1);y1=y1+rand(y1,"normal");//Covariance of y1nlag=128;c1=corr(y1,nlag);c1=c1';//Compute the filter with maximum order=15 and p=5n=5;p=2;[la1,sig1]=lattp(n,p,c1);